"Mike and Molly" star Melissa McCarthy revealed that she once lost a $9000 wig while filming her newly-released film "Tammy."

The 43-year-old actress appeared on "Chelsea Lately" earlier this week to dish on how exactly she lost an expensive wig, Just Jared reported.

"We were just doing a test. It's hard to shoot on water because everything's moving... so we did a test and I'm like, 'Isn't it a great idea if I'm in full wig and costume? Because if we shoot some stuff, maybe it's usable.' And I'm like, 'I'm kind of amazing at this,' because I'm really a couple steps ahead. I don't really know how to ride a jet ski-I've never been on one before."

McCarthy continued, "AII I heard was 'faster' and 'dig in.' So I literally cranked it up I'm going like 45 miles per hour thinking, 'Oh, god, I'm not skilled. I shouldn't be doing this. But the camera's getting it, so maybe it'll look good and we're ahead of schedule.' I'm like, 'Now I'll dig in.' And I flipped that thing at 45 miles an hour.'

"The Heat" star added, "I don't remember leaving it. All of a sudden, I literally was like, 'I'm in water.' I didn't know if I was up or down and I thought, 'Holy god, I've got that wig on.' We don't have a huge budget and a wig's like $9000, which, by the way, had like 35 pins in it. You couldn't rip it off my head."

Meanwhile, recently spoke with US Weekly and confessed that she bawled and freaked out at the sight of her new "Tammy" billboard.

"Nobody told me they had put up a massive one. I started completely bawling and freaking out. I slammed on my breaks, swerved and tried to pull over. Other drivers were screaming at me and I thought, 'Oh God, what if they see it's all because I'm looking at my own picture?' I just sat there and stared at it."